For professionals, we recommend the Stevens Continuous Futures premium database. This specialist database includes comprehensive, accurate, quality-audited, well-documented and reliable long-term histories for 50 of the most actively traded North American futures contracts. Learn more»

Historical Data

The highest quality source for historical CME S-and-P 500 Index Futures (SP) futures data on Quandl is the Stevens Continuous Futures database. This database has professional quality audited futures data including a wide variety of roll-date and price-adjustment rules. However it is a premium database, available only to paying subscribers. If you need to make business or investment decisions based on futures data over long horizons, you should consider this database.

The best free source for historical CME S-and-P 500 Index Futures (SP) futures data on Quandl is the CHRIS database, compiled by one of Quandl's inhouse data curators. This database has only one price/roll rule, and its data quality is inconsistent; but it is very wide, covering over 400 different futures contracts in addition to CL.

Another free alternative is to get futures data directly from the exchange: in the case of CME S-and-P 500 Index Futures (SP) futures, this means the CME database on Quandl. Data from exchanges is not continuous; instead you will have to concatenate individual contracts by hand in order to generate long-term price histories. Also, many exchanges do not provide backfill and so the depth of history is limited for many contracts.

Price Adjustments and Roll Rules

In order to carry out long-term historical analysis of futures, it is necessary to concatenate various individual futures contracts. Contracts can be concatenated using a variety of roll-date rules (end-of-month, last-trading-day, open-interest-switch) and price adjustments (unadjusted, panama-canal shifted, ratio-shifted, weighted-average). It is vitally important to use a roll rule and price adjustment that corresponds to your use case (trading, back-testing, technical analysis, risk management, economic forecasting) else your analysis will be compromised.

The SCF database provides a wide choice of roll and price rules for paying subscribers. The CHRIS database provides a single roll rule (last-trading-day) and a single price rule (unadjusted). Alternatively, you can build your own continuous contracts with your own custom roll and price rules, using the individual contract data from our exchange databases.